Ambiguous Correlation

Author:

Epstein Larry G1,Halevy Yoram2

Affiliation:

1. Boston University

2. University of Toronto

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Reference55 articles.

1. “The Rich Domain of Uncertainty: Source Functions and Their Experimental Implementation”,;ABDELLAOUI;American Economic Review,2011

2. “Experiments on Compound Risk in Relation to Simple Risk and to Ambiguity”,;ABDELLAOUI;Management Science,2015

3. “High Frequency Covariance Estimates With Noisy and Asynchronous Financial Data”,;AIT-SAHALIA;Journal of American Statistical Association,2010

4. “Parametric Representation of Preferences”,;AL NAJJAR;Journal of Economic Theory,2014

5. “A Point Decision for Partially Identified Auction Models”,;ARYAL;Journal of Business & Economic Statistics,2013

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1. Robust investment for insurers with correlation ambiguity;The Quarterly Review of Economics and Finance;2024-02

2. Flight to quality and portfolio diversification under ambiguity of correlation;International Journal of Financial Engineering;2023-09-07

3. Ambiguity and risk factors in bank stocks;Journal of Financial Research;2023-07-24

4. Total factor productivity in East Asia under ambiguity;Economic Modelling;2023-04

5. Correlation uncertainty, limited participation, and flight to quality;Journal of Management Science and Engineering;2023-03

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